EXCHANGE RATE VOLATILITY IN TIMES OF COVID-19 IN THE BRICS: ARDL AND COINTEGRATION MODELS (FMOLS AND DOLS)

Valdecy Caetano () and Flávio Vilela Vieira ()
Additional contact information
Valdecy Caetano: Universidade Federal de Uberlândia
Flávio Vilela Vieira: Universidade Federal de Uberlândia

Revista de Economia Mackenzie (REM), 2024, vol. 21, issue 1, 119-142

Abstract: The main goal of this work is to develop an empirical investigation on the occurrence of a sanitary crisis with data of cases and deaths of Covid-19, and their possible impact on the exchange rate volatility for the BRICS with daily data from February 20, 2020, to February 28, 2022, using ARDL, FMOLS and DOLS models. The results indicate that increases in the number of confirmed cases and deaths are associated with lower levels of exchange rate volatility, indicating that monetary and fiscal policies were inefficient in the context of a generalized health crisis in directing capital flows, and since the Covid-19 crisis is a global one, during the period of analysis there was a relative exchange rate stability, in other words, a lower exchange rate volatility.

Keywords: Exchange rate volatility; Covid-19; Brics; ARDL, DOLS and FMOLS models; interest rate. (search for similar items in EconPapers)
JEL-codes: C22 F31 G01 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://editorarevistas.mackenzie.br/index.php/rem/article/view/16649/12422 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:21:1:2024:jan:jun:p:119-142

DOI: 10.5935/1808-2785/rem.v21n1p.119-142

Access Statistics for this article

More articles in Revista de Economia Mackenzie (REM) from Mackenzie Presbyterian University, Social and Applied Sciences Center Contact information at EDIRC.
Bibliographic data for series maintained by Instituto Presbiteriano Mackenzie (IPM) ().